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- W4301804429 abstract "This paper examines the information content of the new VDAX volatility index to forecast daily value-at-risk (VaR) estimates and compares its VaR forecasts with the VaR forecasts of the asymmetric GARCH model of Glosten, Jagannathan and Runkle (GJR) (1993) and RiskMetrics model. The performance of the daily VaR models is evaluated both in-sample and out-of-sample using unconditional coverage, independence, and conditional coverage tests. We find that the information content of implied volatility is superior to that of historical volatility for the daily VaR forecasts of a portfolio of the DAX 30 stock index. Backtesting results suggest the following rank for our VaR models, from best to worst, GJR-GARCH(1, 1) augmented with implied volatility, implied volatility, GJR-GARCH(1, 1), and RiskMetrics. Our findings have implications for traders, risk managers and regulators." @default.
- W4301804429 created "2022-10-05" @default.
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- W4301804429 date "2015-01-01" @default.
- W4301804429 modified "2023-09-26" @default.
- W4301804429 title "The information content of the VDAX volatility index and backtesting daily value-at-risk models" @default.
- W4301804429 doi "https://doi.org/10.1504/ijfmd.2015.073468" @default.
- W4301804429 hasPublicationYear "2015" @default.
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